Adjoint-based Monte Carlo calibration of financial market models.

Christoph Käbe Jan H. Maruhn Ekkehard W. Sachs

Published in: Finance Stochastics (2009)

Keyphrases

monte carlo
monte carlo simulation
point processes
markov chain
monte carlo methods
financial markets
trading systems
adaptive sampling
importance sampling
model selection
stock market
matrix inversion
historical data
markovian decision